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refactor structs to records, add new classes for financial calculations, implement EMA and SMA with circular buffer. Generate random financial data using GBM model. Also, test the SMA calculation with sample data.

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This commit is contained in:
Miha Kralj
2024-07-28 21:26:44 -07:00
parent ef534393db
commit 3455baaf6c
95 changed files with 8661 additions and 7012 deletions
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Calculations/Basics/ADD_Series.cs
+12 -9
View File
@@ -9,21 +9,24 @@ Remarks:
</summary> */
public class ADD_Series : Pair_TSeries_Indicator
public class ADD_Series : Pair_TSeries_Indicator
{
public ADD_Series(TSeries d1, TSeries d2 ) : base(d1, d2) {
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
public ADD_Series(TSeries d1, TSeries d2) : base(d1, d2)
{
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
}
public ADD_Series(TSeries d1, double dd2 ) : base(d1, dd2) {
if (base._d1.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
public ADD_Series(TSeries d1, double dd2) : base(d1, dd2)
{
if (base._d1.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
}
public ADD_Series(double dd1, TSeries d2 ) : base(dd1, d2) {
if (base._d2.Count > 0) { for (int i=0; i< base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
public ADD_Series(double dd1, TSeries d2) : base(dd1, d2)
{
if (base._d2.Count > 0) { for (int i = 0; i < base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
}
public override void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update)
public override void Add((System.DateTime t, double v) TValue1, (System.DateTime t, double v) TValue2, bool update)
{
(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t, TValue1.v+TValue2.v);
(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t, TValue1.v + TValue2.v);
if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
}
}
Calculations/Basics/CORR_Series.cs
+25 -25
View File
@@ -17,36 +17,36 @@ Sources:
public class CORR_Series : Pair_TSeries_Indicator
{
public CORR_Series(TSeries d1, TSeries d2, int period, bool useNaN = false) : base(d1, d2, period, useNaN)
{
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
}
public CORR_Series(TSeries d1, TSeries d2, int period, bool useNaN = false) : base(d1, d2, period, useNaN)
{
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
}
private readonly System.Collections.Generic.List<double> _x = new();
private readonly System.Collections.Generic.List<double> _xx = new();
private readonly System.Collections.Generic.List<double> _y = new();
private readonly System.Collections.Generic.List<double> _yy = new();
private readonly System.Collections.Generic.List<double> _xy = new();
private readonly System.Collections.Generic.List<double> _x = new();
private readonly System.Collections.Generic.List<double> _xx = new();
private readonly System.Collections.Generic.List<double> _y = new();
private readonly System.Collections.Generic.List<double> _yy = new();
private readonly System.Collections.Generic.List<double> _xy = new();
public override void Add((System.DateTime t, double v) TValue1, (System.DateTime t, double v) TValue2, bool update)
{
Add_Replace_Trim(_x, TValue1.v, _p, update);
Add_Replace_Trim(_xx, TValue1.v * TValue1.v, _p, update);
Add_Replace_Trim(_y, TValue2.v, _p, update);
Add_Replace_Trim(_yy, TValue2.v * TValue2.v, _p, update);
Add_Replace_Trim(_xy, TValue1.v * TValue2.v, _p, update);
public override void Add((System.DateTime t, double v) TValue1, (System.DateTime t, double v) TValue2, bool update)
{
Add_Replace_Trim(_x, TValue1.v, _p, update);
Add_Replace_Trim(_xx, TValue1.v * TValue1.v, _p, update);
Add_Replace_Trim(_y, TValue2.v, _p, update);
Add_Replace_Trim(_yy, TValue2.v * TValue2.v, _p, update);
Add_Replace_Trim(_xy, TValue1.v * TValue2.v, _p, update);
double _sumx = _x.Sum();
double _sumxx = _xx.Sum();
double _sumy = _y.Sum();
double _sumyy = _yy.Sum();
double _sumxy = _xy.Sum();
double _sumx = _x.Sum();
double _sumxx = _xx.Sum();
double _sumy = _y.Sum();
double _sumyy = _yy.Sum();
double _sumxy = _xy.Sum();
double _covar = (_sumxx - _sumx * _sumx / _p) * (_sumyy - _sumy * _sumy / _p);
double _cor = (_covar != 0) ? (_sumxy - _sumx * _sumy / _p) / Math.Sqrt(_covar) : 0.0;
double _covar = (_sumxx - _sumx * _sumx / _p) * (_sumyy - _sumy * _sumy / _p);
double _cor = (_covar != 0) ? (_sumxy - _sumx * _sumy / _p) / Math.Sqrt(_covar) : 0.0;
var result = (TValue1.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _cor);
if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
var result = (TValue1.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _cor);
if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
}
}
Calculations/Basics/COVAR_Series.cs
+24 -22
View File
@@ -16,31 +16,33 @@ Sources:
public class COVAR_Series : Pair_TSeries_Indicator
{
public COVAR_Series(TSeries d1, TSeries d2, int period, bool useNaN = false) : base(d1, d2, period, useNaN)
{
if (base._d1.Count > 0 && base._d2.Count > 0) {
for (int i = 0; i < base._d1.Count; i++) {
this.Add(base._d1[i], base._d2[i], false);
}
}
}
public COVAR_Series(TSeries d1, TSeries d2, int period, bool useNaN = false) : base(d1, d2, period, useNaN)
{
if (base._d1.Count > 0 && base._d2.Count > 0)
{
for (int i = 0; i < base._d1.Count; i++)
{
this.Add(base._d1[i], base._d2[i], false);
}
}
}
private readonly System.Collections.Generic.List<double> _x = new();
private readonly System.Collections.Generic.List<double> _y = new();
private readonly System.Collections.Generic.List<double> _xy = new();
private readonly System.Collections.Generic.List<double> _x = new();
private readonly System.Collections.Generic.List<double> _y = new();
private readonly System.Collections.Generic.List<double> _xy = new();
public override void Add((System.DateTime t, double v) TValue1, (System.DateTime t, double v) TValue2, bool update)
{
BufferTrim(_x, TValue1.v, _p, update);
BufferTrim(_y, TValue2.v, _p, update);
BufferTrim(_xy, TValue1.v * TValue2.v, _p, update);
public override void Add((System.DateTime t, double v) TValue1, (System.DateTime t, double v) TValue2, bool update)
{
BufferTrim(_x, TValue1.v, _p, update);
BufferTrim(_y, TValue2.v, _p, update);
BufferTrim(_xy, TValue1.v * TValue2.v, _p, update);
double _avgx = _x.Average();
double _avgy = _y.Average();
double _avgxy = _xy.Average();
double _covar = _avgxy - (_avgx * _avgy);
double _avgx = _x.Average();
double _avgy = _y.Average();
double _avgxy = _xy.Average();
double _covar = _avgxy - (_avgx * _avgy);
var result = (TValue1.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _covar);
if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
var result = (TValue1.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _covar);
if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
}
}
Calculations/Basics/DIV_Series.cs
+13 -10
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@@ -8,22 +8,25 @@ Remarks:
Most of scaffolding is packaged in abstracty class Pair_TSeries_Indicator.
</summary> */
public class DIV_Series : Pair_TSeries_Indicator
public class DIV_Series : Pair_TSeries_Indicator
{
public DIV_Series(TSeries d1, TSeries d2 ) : base(d1, d2) {
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
public DIV_Series(TSeries d1, TSeries d2) : base(d1, d2)
{
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
}
public DIV_Series(TSeries d1, double dd2 ) : base(d1, dd2) {
if (base._d1.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
public DIV_Series(TSeries d1, double dd2) : base(d1, dd2)
{
if (base._d1.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
}
public DIV_Series(double dd1, TSeries d2 ) : base(dd1, d2) {
if (base._d2.Count > 0) { for (int i=0; i< base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
public DIV_Series(double dd1, TSeries d2) : base(dd1, d2)
{
if (base._d2.Count > 0) { for (int i = 0; i < base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
}
public override void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update)
public override void Add((System.DateTime t, double v) TValue1, (System.DateTime t, double v) TValue2, bool update)
{
(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t,
(TValue2.v is not 0) ? TValue1.v/TValue2.v : Double.PositiveInfinity);
(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t,
(TValue2.v is not 0) ? TValue1.v / TValue2.v : Double.PositiveInfinity);
if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
}
}
Calculations/Basics/MUL_Series.cs
+13 -10
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@@ -6,22 +6,25 @@ MUL - multiply TSeries*TSeries together, or TSeries*double, or double*TSeries
</summary> */
public class MUL_Series : Pair_TSeries_Indicator
public class MUL_Series : Pair_TSeries_Indicator
{
public MUL_Series(TSeries d1, TSeries d2 ) : base(d1, d2) {
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
public MUL_Series(TSeries d1, TSeries d2) : base(d1, d2)
{
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
}
public MUL_Series(TSeries d1, double dd2 ) : base(d1, dd2) {
if (base._d1.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
public MUL_Series(TSeries d1, double dd2) : base(d1, dd2)
{
if (base._d1.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
}
public MUL_Series(double dd1, TSeries d2 ) : base(dd1, d2) {
if (base._d2.Count > 0) { for (int i=0; i< base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
public MUL_Series(double dd1, TSeries d2) : base(dd1, d2)
{
if (base._d2.Count > 0) { for (int i = 0; i < base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
}
public override void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update)
public override void Add((System.DateTime t, double v) TValue1, (System.DateTime t, double v) TValue2, bool update)
{
(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t,
TValue1.v*TValue2.v);
(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t,
TValue1.v * TValue2.v);
if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
}
}
Calculations/Basics/SUB_Series.cs
+13 -10
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@@ -7,22 +7,25 @@ SUB - subtracting TSeries-TSeries, or TSeries-double, or double-TSeries
</summary> */
public class SUB_Series : Pair_TSeries_Indicator
public class SUB_Series : Pair_TSeries_Indicator
{
public SUB_Series(TSeries d1, TSeries d2 ) : base(d1, d2) {
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
public SUB_Series(TSeries d1, TSeries d2) : base(d1, d2)
{
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
}
public SUB_Series(TSeries d1, double dd2 ) : base(d1, dd2) {
if (base._d1.Count > 0) { for (int i=0; i< base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
public SUB_Series(TSeries d1, double dd2) : base(d1, dd2)
{
if (base._d1.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], (base._d1[i].t, dd2), false); } }
}
public SUB_Series(double dd1, TSeries d2 ) : base(dd1, d2) {
if (base._d2.Count > 0) { for (int i=0; i< base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
public SUB_Series(double dd1, TSeries d2) : base(dd1, d2)
{
if (base._d2.Count > 0) { for (int i = 0; i < base._d2.Count; i++) { this.Add((base._d2[i].t, dd1), base._d2[i], false); } }
}
public override void Add((System.DateTime t, double v)TValue1, (System.DateTime t, double v)TValue2, bool update)
public override void Add((System.DateTime t, double v) TValue1, (System.DateTime t, double v) TValue2, bool update)
{
(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t,
TValue1.v-TValue2.v);
(System.DateTime t, double v) result = ((TValue1.t > TValue2.t) ? TValue1.t : TValue2.t,
TValue1.v - TValue2.v);
if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
}
}