readme

Signed-off-by: Miha Kralj <miha@kraljfamily.net> workflow workflow Signed-off-by: Miha Kralj <miha@kraljfamily.net> Refactor charts KAMA build build build build
2026-08-19 02:58:05 +00:00 · 2022-04-23 20:10:30 -07:00
parent ee8b07bb37
commit 2a73615161
36 changed files with 599 additions and 288 deletions
@@ -1,35 +1,35 @@
-namespace QuanTAlib;
-using System;
-
-/* <summary>
-ZL: Zero Lag
-    Data is de-lagged by removing the data from “lag” days ago, thus removing 
-    (or attempting to) the cumulative effect of the moving average.
-
-Calculation:
-    Lag = (Period-1)/2
-    ZL = Data + (Data - Data(Lag days ago) ) 
-
-Sources:
-     https://mudrex.com/blog/zero-lag-ema-trading-strategy/
-
-</summary> */
-
-public class ZL_Series : Single_TSeries_Indicator
-{
-    public ZL_Series(TSeries source, int period, bool useNaN = false) : base(source, period:period, useNaN:useNaN) {
-        if (this._data.Count > 0) { base.Add(this._data); }
-    }
-
-    public override void Add((DateTime t, double v) TValue, bool update)
-    {
-        int _lag = (int)((_p-1) * 0.5);
-        _lag = (_data.Count-_lag < 0) ? 0 : _data.Count-_lag;
-
-        double _zl = TValue.v + (TValue.v - _data[_lag].v);
-
-        var ret = (TValue.t, (base.Count==0 && base._NaN) ? double.NaN : _zl );
-        base.Add(ret, update);
-
-    }
+namespace QuanTAlib;
+using System;
+
+/* <summary>
+ZL: Zero Lag
+    Data is de-lagged by removing the data from “lag” days ago, thus removing 
+    (or attempting to) the cumulative effect of the moving average.
+
+Calculation:
+    Lag = (Period-1)/2
+    ZL = Data + (Data - Data(Lag days ago) ) 
+
+Sources:
+     https://mudrex.com/blog/zero-lag-ema-trading-strategy/
+
+</summary> */
+
+public class ZL_Series : Single_TSeries_Indicator
+{
+    public ZL_Series(TSeries source, int period, bool useNaN = false) : base(source, period:period, useNaN:useNaN) {
+        if (this._data.Count > 0) { base.Add(this._data); }
+    }
+
+    public override void Add((DateTime t, double v) TValue, bool update)
+    {
+        int _lag = (int)((_p-1) * 0.5);
+        _lag = (_data.Count-_lag < 0) ? 0 : _data.Count-_lag;
+
+        double _zl = TValue.v + (TValue.v - _data[_lag].v);
+
+        var ret = (TValue.t, (base.Count==0 && base._NaN) ? double.NaN : _zl );
+        base.Add(ret, update);
+
+    }
 }
@@ -0,0 +1,53 @@
+namespace QuanTAlib;
+using System;
+
+/* <summary>
+KAMA: Kaufman's Adaptive Moving Average
+    Created in 1988 by American quantitative finance theorist Perry J. Kaufman and is known as
+    Kaufman's Adaptive Moving Average (KAMA). Even though the method was developed as early as 1972,
+    it was not until the popular book titled "Trading Systems and Methods" that it was made widely
+    available to the public. Unlike other conventional moving averages systems, the Kaufman's Adaptive
+    Moving Average, considers market volatility apart from price fluctuations.
+
+    KAMAi = KAMAi - 1 + SC * ( price - KAMAi-1 )
+
+Sources:
+    https://www.tutorialspoint.com/kaufman-s-adaptive-moving-average-kama-formula-and-how-does-it-work
+    https://corporatefinanceinstitute.com/resources/knowledge/trading-investing/kaufmans-adaptive-moving-average-kama/
+    https://www.technicalindicators.net/indicators-technical-analysis/152-kama-kaufman-adaptive-moving-average
+
+Remark:
+    If useNaN:true argument is provided, KAMA starts calculating values from [period] bar onwards.
+    Without useNaN argument (default setting), KAMA starts calculating values from bar 1 - and yields
+    slightly different results for the first 50 bars - and then converges with the other one.
+
+</summary> */
+
+public class KAMA_Series : Single_TSeries_Indicator
+{
+  private static double _scFast, _scSlow;
+  public KAMA_Series(TSeries source, int period, int fast = 2, int slow= 30, bool useNaN = false) : base(source, period, useNaN) {
+    _scFast = 2.0 / (fast+1);
+    _scSlow = 2.0 / (slow+1);
+    if (base._data.Count > 0) { base.Add(base._data); }
+  }
+  public override void Add((System.DateTime t, double v) TValue, bool update) {
+      //if (update) { } else { }
+      double _change = Math.Abs( TValue.v - _data[(this.Count>_p)?this.Count-_p : 0].v);
+      double _sumpv = 0;
+      double _kama = TValue.v;
+      for (int i = (this.Count-_p+1>0)?this.Count-_p+1:0; i <= this.Count; i++) {
+        _sumpv += Math.Abs(_data[(i>0)?i:0].v- _data[(i>1)?i-1:0].v);
+      }
+      if (_sumpv != 0) {
+        double _er = _change/_sumpv;
+        double _sc = (_er * (_scFast - _scSlow)) + _scSlow;
+        double _prevKama = (this.Count > 0) ? this[this.Count-1].v : TValue.v;
+        if (double.IsNaN(_prevKama)) { _prevKama = TValue.v; }
+        _kama = (_prevKama + (_sc * _sc * (TValue.v - _prevKama)));
+      }
+
+      var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _kama);
+      base.Add(result, update);
+  }
+}
@@ -13,7 +13,7 @@
    <PackageReadmeFile>readme.md</PackageReadmeFile>
    <TargetFrameworks>net7.0;net6.0;net48;netcoreapp3.1;netstandard2.1</TargetFrameworks>
    <ImplicitUsings>disable</ImplicitUsings>
-    <LangVersion>10.0</LangVersion>
+    <LangVersion>preview</LangVersion>
    <Nullable>disable</Nullable>
    <DisableImplicitNamespaceImports>true</DisableImplicitNamespaceImports>
    <NeutralLanguage>en-US</NeutralLanguage>