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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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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/CORR_Series.cs
+25 -25
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@@ -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); }
}
}