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sdev, psdev, alphavantage

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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/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);
}
}