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.

2026-08-24 05:28:05 +00:00 · 2024-07-28 21:26:44 -07:00
parent ef534393db
commit 3455baaf6c
95 changed files with 8661 additions and 7012 deletions
@@ -14,77 +14,87 @@ Sources:

 </summary> */

-public class ADOSC_Series : TSeries {
-	protected readonly TBars _data;
-	private readonly double _k1, _k2;
-	private double _lastema1, _lastlastema1, _lastema2, _lastlastema2;
-	private double _lastadl, _lastlastadl;
+public class ADOSC_Series : TSeries
+{
+    protected readonly TBars _data;
+    private readonly double _k1, _k2;
+    private double _lastema1, _lastlastema1, _lastema2, _lastlastema2;
+    private double _lastadl, _lastlastadl;

-	//core constructors
-	public ADOSC_Series(int shortPeriod, int longPeriod, bool useNaN = false) {
-		Name = $"ADOSC()";
-		_k1 = 2.0 / (shortPeriod + 1);
-		_k2 = 2.0 / (longPeriod + 1);
-		_lastadl = _lastlastadl = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
-	}
-	public ADOSC_Series(TBars source, int shortPeriod, int longPeriod, bool useNaN = false) :this(shortPeriod, longPeriod, useNaN) {
-		_data = source;
-		Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
-		_lastadl = _lastlastadl = 0;
-		_data.Pub += Sub;
-		Add(data: _data);
-	}
+    //core constructors
+    public ADOSC_Series(int shortPeriod, int longPeriod, bool useNaN = false)
+    {
+        Name = $"ADOSC()";
+        _k1 = 2.0 / (shortPeriod + 1);
+        _k2 = 2.0 / (longPeriod + 1);
+        _lastadl = _lastlastadl = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
+    }
+    public ADOSC_Series(TBars source, int shortPeriod, int longPeriod, bool useNaN = false) : this(shortPeriod, longPeriod, useNaN)
+    {
+        _data = source;
+        Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
+        _lastadl = _lastlastadl = 0;
+        _data.Pub += Sub;
+        Add(data: _data);
+    }

-	public ADOSC_Series() : this(shortPeriod: 3, longPeriod: 10, useNaN: false) {}
+    public ADOSC_Series() : this(shortPeriod: 3, longPeriod: 10, useNaN: false) { }

-	public ADOSC_Series(TBars source) : this(source, shortPeriod: 3, longPeriod:10, useNaN:false) { }
+    public ADOSC_Series(TBars source) : this(source, shortPeriod: 3, longPeriod: 10, useNaN: false) { }

-	//////////////////
-	// 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) {
+    //////////////////
+    // 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) {
-			_lastadl = _lastlastadl;
-			_lastema1 = _lastlastema1;
-			_lastema2 = _lastlastema2;
-		}
+        if (update)
+        {
+            _lastadl = _lastlastadl;
+            _lastema1 = _lastlastema1;
+            _lastema2 = _lastlastema2;
+        }

-		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); }
-		if (this.Count == 0) { _lastema1 = _lastema2 = _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); }
+        if (this.Count == 0) { _lastema1 = _lastema2 = _adl; }

-		double _ema1 = (_adl - _lastema1) * _k1 + _lastema1;
-		double _ema2 = (_adl - _lastema2) * _k2 + _lastema2;
+        double _ema1 = (_adl - _lastema1) * _k1 + _lastema1;
+        double _ema2 = (_adl - _lastema2) * _k2 + _lastema2;

-		_lastlastadl = _lastadl;
-		_lastadl = _adl;
-		_lastlastema1 = _lastema1;
-		_lastema1 = _ema1;
-		_lastlastema2 = _lastema2;
-		_lastema2 = _ema2;
+        _lastlastadl = _lastadl;
+        _lastadl = _adl;
+        _lastlastema1 = _lastema1;
+        _lastema1 = _ema1;
+        _lastlastema2 = _lastema2;
+        _lastema2 = _ema2;

-		double _adosc = _ema1 - _ema2;
-		
-		var ret = (TBar.t, _adosc);
-		return base.Add(ret, update);
-	}
+        double _adosc = _ema1 - _ema2;

-	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);
-	}
+        var ret = (TBar.t, _adosc);
+        return base.Add(ret, update);
+    }

-	//reset calculation
-	public override void Reset() {
-		_lastadl = _lastlastadl = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
-	}
+    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 = _lastema1 = _lastlastema1 = _lastema2 = _lastlastema2 = 0;
+    }
 }