mirror of
https://github.com/mihakralj/QuanTAlib.git
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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
@@ -19,96 +19,111 @@ Sources:
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Discrepancy with Pandas-TA (but passes the validation with Skender.GetAlma)
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</summary> */
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public class ALMA_Series : TSeries {
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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public class ALMA_Series : TSeries
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{
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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private readonly System.Collections.Generic.List<double> _buffer = new();
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private readonly System.Collections.Generic.List<double> _weight;
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private double _norm;
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private readonly double _offset, _sigma;
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private readonly System.Collections.Generic.List<double> _buffer = new();
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private readonly System.Collections.Generic.List<double> _weight;
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private double _norm;
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private readonly double _offset, _sigma;
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//core constructors
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public ALMA_Series(int period, double offset, double sigma, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"ALMA({period})";
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_offset = offset;
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_sigma = sigma;
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_weight = new();
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}
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public ALMA_Series(TSeries source, int period, double offset, double sigma, bool useNaN) : this(period, offset, sigma, useNaN) {
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_data = source;
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Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
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_data.Pub += Sub;
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Add(_data);
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}
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//core constructors
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public ALMA_Series(int period, double offset, double sigma, bool useNaN)
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{
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_period = period;
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_NaN = useNaN;
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Name = $"ALMA({period})";
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_offset = offset;
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_sigma = sigma;
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_weight = new();
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}
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public ALMA_Series(TSeries source, int period, double offset, double sigma, bool useNaN) : this(period, offset, sigma, useNaN)
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{
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_data = source;
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Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
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_data.Pub += Sub;
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Add(_data);
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}
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public ALMA_Series() : this(period:0, offset:0.85, sigma:6.0, useNaN: false) { }
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public ALMA_Series(int period) : this(period: period, offset:0.85, sigma:6.0, useNaN:false) { }
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public ALMA_Series(TBars source) : this(source:source.Close, period:0, offset:0.85, sigma:6.0, useNaN:false) { }
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public ALMA_Series(TBars source, int period) : this(source:source.Close, period:period, offset: 0.85, sigma: 6.0, useNaN: false) { }
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public ALMA_Series(TBars source, int period, double offset, double sigma, bool useNaN) : this(source.Close, period:period, offset: offset, sigma: sigma, useNaN: false) { }
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public ALMA_Series(TSeries source) : this(source, period:0, offset:0.85, sigma:6.0, useNaN:false) { }
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public ALMA_Series(TSeries source, int period) : this(source:source, period:period, offset:0.85, sigma:6.0, useNaN:false) { }
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public ALMA_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, offset: 0.85, sigma: 6.0, useNaN: useNaN) { }
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public ALMA_Series() : this(period: 0, offset: 0.85, sigma: 6.0, useNaN: false) { }
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public ALMA_Series(int period) : this(period: period, offset: 0.85, sigma: 6.0, useNaN: false) { }
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public ALMA_Series(TBars source) : this(source: source.Close, period: 0, offset: 0.85, sigma: 6.0, useNaN: false) { }
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public ALMA_Series(TBars source, int period) : this(source: source.Close, period: period, offset: 0.85, sigma: 6.0, useNaN: false) { }
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public ALMA_Series(TBars source, int period, double offset, double sigma, bool useNaN) : this(source.Close, period: period, offset: offset, sigma: sigma, useNaN: false) { }
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public ALMA_Series(TSeries source) : this(source, period: 0, offset: 0.85, sigma: 6.0, useNaN: false) { }
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public ALMA_Series(TSeries source, int period) : this(source: source, period: period, offset: 0.85, sigma: 6.0, useNaN: false) { }
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public ALMA_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, offset: 0.85, sigma: 6.0, useNaN: useNaN) { }
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// core Add() algo
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public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
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if (double.IsNaN(TValue.v)) {
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return base.Add((TValue.t, double.NaN), update);
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}
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// core Add() algo
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public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false)
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{
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if (double.IsNaN(TValue.v))
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{
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return base.Add((TValue.t, double.NaN), update);
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}
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BufferTrim(_buffer, TValue.v, _period, update);
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if (_weight.Count < _buffer.Count) {
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for (var i = 0; i < _buffer.Count - _weight.Count; i++) {
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_weight.Add(0.0);
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}
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}
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BufferTrim(_buffer, TValue.v, _period, update);
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if (_weight.Count < _buffer.Count)
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{
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for (var i = 0; i < _buffer.Count - _weight.Count; i++)
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{
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_weight.Add(0.0);
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}
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}
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if (_buffer.Count <= _period || _period == 0) {
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var _len = _buffer.Count;
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_norm = 0;
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var _m = _offset * (_len - 1);
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var _s = _len / _sigma;
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for (var i = 0; i < _len; i++) {
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var _wt = Math.Exp(-((i - _m) * (i - _m)) / (2 * _s * _s));
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_weight[i] = _wt;
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_norm += _wt;
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}
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}
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double _weightedSum = 0;
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for (var i = 0; i < _buffer.Count; i++) {
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_weightedSum += _weight[i] * _buffer[i];
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}
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if (_buffer.Count <= _period || _period == 0)
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{
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var _len = _buffer.Count;
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_norm = 0;
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var _m = _offset * (_len - 1);
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var _s = _len / _sigma;
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for (var i = 0; i < _len; i++)
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{
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var _wt = Math.Exp(-((i - _m) * (i - _m)) / (2 * _s * _s));
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_weight[i] = _wt;
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_norm += _wt;
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}
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}
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var _alma = _weightedSum / _norm;
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double _weightedSum = 0;
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for (var i = 0; i < _buffer.Count; i++)
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{
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_weightedSum += _weight[i] * _buffer[i];
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}
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _alma);
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return base.Add(res, update);
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}
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var _alma = _weightedSum / _norm;
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//variation of Add()
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public override (DateTime t, double v) Add(TSeries data) {
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if (data == null) { return (DateTime.Today, Double.NaN); }
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foreach (var item in data) { Add(item, false); }
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return _data.Last;
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}
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public (DateTime t, double v) Add(bool update) {
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return this.Add(TValue: _data.Last, update: update);
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}
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public (DateTime t, double v) Add() {
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return Add(TValue: _data.Last, update: false);
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}
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private new void Sub(object source, TSeriesEventArgs e) {
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Add(TValue: _data.Last, update: e.update);
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}
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//reset calculation
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public override void Reset() {
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_buffer.Clear();
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_weight.Clear();
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}
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _alma);
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return base.Add(res, update);
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}
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//variation of Add()
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public override (DateTime t, double v) Add(TSeries data)
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{
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if (data == null) { return (DateTime.Today, Double.NaN); }
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foreach (var item in data) { Add(item, false); }
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return _data.Last;
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}
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public (DateTime t, double v) Add(bool update)
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{
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return this.Add(TValue: _data.Last, update: update);
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}
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public (DateTime t, double v) Add()
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{
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return Add(TValue: _data.Last, update: false);
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}
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private new void Sub(object source, TSeriesEventArgs e)
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{
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Add(TValue: _data.Last, update: e.update);
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}
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//reset calculation
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public override void Reset()
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{
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_buffer.Clear();
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_weight.Clear();
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}
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}
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