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sdev, psdev, alphavantage

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This commit is contained in:
Miha Kralj
2022-11-06 17:20:57 -08:00
parent 32615af18b
commit 28025fbdd3
28 changed files with 1860 additions and 2545 deletions
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Source/Feeds/Alphavantage_Feed.cs
+1 -3
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@@ -13,8 +13,6 @@ Alphavantage - Free API to collect quotes for stock, Forex and crypto. It requir
</summary> */
/* TODO: refactor into three feeds: FX, Crypto, Stock */
public class Alphavantage_Feed : TBars
{
public enum Interval { Month, Week, Day, Hour, Min30, Min15, Min5, Min1}
@@ -115,7 +113,7 @@ public class Alphavantage_Feed : TBars
{
Interval.Month => "_MONTHLY",
Interval.Week => "_WEEKLY",
Interval.Day => "_DAILY_ADJUSTED",
Interval.Day => "_DAILY",
Interval.Hour => "_INTRADAY&interval=60min",
Interval.Min30 => "_INTRADAY&interval=30min",
Interval.Min15 => "_INTRADAY&interval=15min",
Source/Feeds/RND_Feed.cs
+27 -27
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@@ -1,28 +1,28 @@
namespace QuanTAlib;
using System;
/* <summary>
Random Bars generator - used for testing, validation and fun
Returns 'bars' number of candles that follow common market movement.
volatility defines how 'jumpy' is the series of
startvalue defines beginning closing price that then guides the rest of series
</summary> */
public class RND_Feed : TBars
{
public RND_Feed(int bars, double volatility = 0.05, double startvalue = 100.0)
{
Random rnd = new();
double c = startvalue;
for (int i = 0; i < bars; i++)
{
double o = Math.Round(c + c * (volatility * 0.1 * rnd.NextDouble() - 0.005), 2);
double h = Math.Round(o + c * volatility * rnd.NextDouble(), 2);
double l = Math.Round(o - c * volatility * rnd.NextDouble(), 2);
c = Math.Round(l + (h - l) * rnd.NextDouble(), 2);
double v = Math.Round(1000 * rnd.NextDouble(), 2);
this.Add(DateTime.Today.AddDays(i - bars), o, h, l, c, v);
}
}
namespace QuanTAlib;
using System;
/* <summary>
Random Bars generator - used for testing, validation and fun
Returns 'bars' number of candles that follow common market movement.
volatility defines how 'jumpy' is the series of
startvalue defines beginning closing price that then guides the rest of series
</summary> */
public class RND_Feed : TBars
{
public RND_Feed(int bars, double volatility = 0.05, double startvalue = 100.0)
{
Random rnd = new();
double c = startvalue;
for (int i = 0; i < bars; i++)
{
double o = Math.Round(c + c * (volatility * 0.1 * rnd.NextDouble() - 0.005), 2);
double h = Math.Round(o + c * volatility * rnd.NextDouble(), 2);
double l = Math.Round(o - c * volatility * rnd.NextDouble(), 2);
c = Math.Round(l + (h - l) * rnd.NextDouble(), 2);
double v = Math.Round(1000 * rnd.NextDouble(), 2);
this.Add(DateTime.Today.AddDays(i - bars), o, h, l, c, v);
}
}
}
Source/Indicators/JMA_Series.cs
+1 -6
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@@ -19,9 +19,6 @@ Issues:
</summary> */
/* TODO: This indicator is not calculating results correctly - needs to be debugged */
/*
public class JMA_Series : Single_TSeries_Indicator
{
private readonly System.Collections.Generic.List<double> vbuffer10;
@@ -159,6 +156,4 @@ public class JMA_Series : Single_TSeries_Indicator
base.Add(result, update);
}
}
*/
}
Source/QuanTAlib.csproj
+2 -2
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@@ -13,7 +13,7 @@
<Authors>Miha Kralj</Authors>
<Copyright>Miha Kralj</Copyright>
<PackageReadmeFile>readme.md</PackageReadmeFile>
<TargetFrameworks>net6.0;netstandard2.0</TargetFrameworks>
<TargetFrameworks>net7.0;net6.0;netstandard2.0</TargetFrameworks>
<ImplicitUsings>disable</ImplicitUsings>
<LangVersion>preview</LangVersion>
<Nullable>disable</Nullable>
@@ -67,6 +67,6 @@
</None>
</ItemGroup>
<ItemGroup>
<PackageReference Include="System.Text.Json" Version="7.0.0-rc.2.22472.3" />
<PackageReference Include="System.Text.Json" Version="7.0.0-preview.4.22229.4" />
</ItemGroup>
</Project>
Source/Statistics/PSDEV_Series.cs
+44
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@@ -0,0 +1,44 @@
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);
}
}
Source/Statistics/SDEV_Series.cs
+16 -16
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@@ -2,17 +2,17 @@
using System;
/* <summary>
SDEV: Population Standard Deviation
Population Standard Deviation is the square root of the biased variance, also known as
Uncorrected Sample Standard Deviation
SDEV: (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#Uncorrected_sample_standard_deviation
https://en.wikipedia.org/wiki/Standard_deviation#Corrected_sample_standard_deviation
Bessel's correction: https://en.wikipedia.org/wiki/Bessel%27s_correction
Remark:
SDEV (Population Standard Deviation) is also known as a biased/uncorrected Standard Deviation.
For unbiased version that uses Bessel's correction, use SDEV instead.
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 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)
{
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
else { _buffer.Add(TValue.v); }
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
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 < _buffer.Count; i++) { _sma += _buffer[i]; }
for (int i = 0; i < this._buffer.Count; i++) { _sma += this._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);
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 : _psdev);
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _ssdev);
base.Add(result, update);
}
}
Source/Statistics/SSDEV_Series.cs
-44
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@@ -1,44 +0,0 @@
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 SDEV 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);
}
}