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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/_Updated/ADL_Series.cs
+55 -45
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@@ -15,55 +15,65 @@ Sources:
</summary> */
public class ADL_Series : TSeries {
protected readonly TBars _data;
private double _lastadl, _lastlastadl;
public class ADL_Series : TSeries
{
protected readonly TBars _data;
private double _lastadl, _lastlastadl;
//core constructors
public ADL_Series() {
Name = $"ADL()";
_lastadl = _lastlastadl = 0;
}
public ADL_Series(TBars source) {
_data = source;
Name = $"ADL({(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_lastadl = _lastlastadl = 0;
_data.Pub += Sub;
Add(data: _data);
}
//core constructors
public ADL_Series()
{
Name = $"ADL()";
_lastadl = _lastlastadl = 0;
}
public ADL_Series(TBars source)
{
_data = source;
Name = $"ADL({(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_lastadl = _lastlastadl = 0;
_data.Pub += Sub;
Add(data: _data);
}
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false) {
if (update) { this._lastadl = this._lastlastadl; }
else { this._lastlastadl = this._lastadl; }
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update = false)
{
if (update) { this._lastadl = this._lastlastadl; }
else { this._lastlastadl = this._lastadl; }
double _adl = 0;
double tmp = TBar.h - TBar.l;
if (tmp > 0.0) {
_adl = _lastadl + ((2 * TBar.c - TBar.l - TBar.h) / tmp * TBar.v);
}
_lastadl = _adl;
double _adl = 0;
double tmp = TBar.h - TBar.l;
if (tmp > 0.0)
{
_adl = _lastadl + ((2 * TBar.c - TBar.l - TBar.h) / tmp * TBar.v);
}
_lastadl = _adl;
var ret = (TBar.t, _adl);
return base.Add(ret, update);
}
var ret = (TBar.t, _adl);
return base.Add(ret, update);
}
public new void Add(TBars data) {
foreach (var item in data) { Add(item, false); }
}
public (DateTime t, double v) Add(bool update) {
return this.Add(TBar: _data.Last, update: update);
}
public (DateTime t, double v) Add() {
return Add(TBar: _data.Last, update: false);
}
private new void Sub(object source, TSeriesEventArgs e) {
Add(TBar: _data.Last, update: e.update);
}
public new void Add(TBars data)
{
foreach (var item in data) { Add(item, false); }
}
public (DateTime t, double v) Add(bool update)
{
return this.Add(TBar: _data.Last, update: update);
}
public (DateTime t, double v) Add()
{
return Add(TBar: _data.Last, update: false);
}
private new void Sub(object source, TSeriesEventArgs e)
{
Add(TBar: _data.Last, update: e.update);
}
//reset calculation
public override void Reset() {
_lastadl = _lastlastadl = 0;
}
//reset calculation
public override void Reset()
{
_lastadl = _lastlastadl = 0;
}
}