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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/ATR_Series.cs
+76 -66
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@@ -14,75 +14,85 @@ Sources:
</summary> */
public class ATR_Series : TSeries {
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TBars _data;
private double _k;
private int _len;
private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;
public class ATR_Series : TSeries
{
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TBars _data;
private double _k;
private int _len;
private double _lastatr, _lastlastatr, _cm1, _lastcm1, _sum, _oldsum;
//core constructors
public ATR_Series(int period, bool useNaN) {
_period = period;
_k = 1.0 / (double)(_period);
_NaN = useNaN;
_len = 0;
Name = $"ATR({period})";
}
public ATR_Series(TBars source, int period, bool useNaN) : this(period, useNaN) {
_data = source;
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_data.Pub += Sub;
Add(data: _data);
}
public ATR_Series() : this(period: 1, useNaN: false) { }
public ATR_Series(int period) : this(period: period, useNaN: false) { }
public ATR_Series(TBars source) : this(source, period: 1, useNaN: false) { }
public ATR_Series(TBars source, int period) : this(source: source, period: period, useNaN: false) { }
//core constructors
public ATR_Series(int period, bool useNaN)
{
_period = period;
_k = 1.0 / (double)(_period);
_NaN = useNaN;
_len = 0;
Name = $"ATR({period})";
}
public ATR_Series(TBars source, int period, bool useNaN) : this(period, useNaN)
{
_data = source;
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_data.Pub += Sub;
Add(data: _data);
}
public ATR_Series() : this(period: 1, useNaN: false) { }
public ATR_Series(int period) : this(period: period, useNaN: false) { }
public ATR_Series(TBars source) : this(source, period: 1, useNaN: false) { }
public ATR_Series(TBars source, int period) : this(source: source, period: period, 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) {
if (update) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; }
else {
_lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum;
_k = (_period == 0) ? 1 / (double)_len : _k;
_len++;
}
if (_len == 1) { _cm1 = TBar.c; }
double d1 = Math.Abs(TBar.h - TBar.l);
double d2 = Math.Abs(_cm1 - TBar.h);
double d3 = Math.Abs(_cm1 - TBar.l);
(DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3)));
_cm1 = TBar.c;
//////////////////
// 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) { _lastatr = _lastlastatr; _cm1 = _lastcm1; _sum = _oldsum; }
else
{
_lastlastatr = _lastatr; _lastcm1 = _cm1; _oldsum = _sum;
_k = (_period == 0) ? 1 / (double)_len : _k;
_len++;
}
double _atr = 0;
if (this.Count == 0) { _atr = d.v; }
else if (this.Count < _period + 1) { _sum += d.v; _atr = _sum / (this.Count); }
else { _atr = _k * (d.v - _lastatr) + _lastatr; }
_lastatr = _atr;
var res = (TBar.t, Count < _period - 1 && _NaN ? double.NaN : _atr);
return base.Add(res, update);
}
if (_len == 1) { _cm1 = TBar.c; }
double d1 = Math.Abs(TBar.h - TBar.l);
double d2 = Math.Abs(_cm1 - TBar.h);
double d3 = Math.Abs(_cm1 - TBar.l);
(DateTime t, double v) d = (TBar.t, Math.Max(d1, Math.Max(d2, d3)));
_cm1 = TBar.c;
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);
}
double _atr = 0;
if (this.Count == 0) { _atr = d.v; }
else if (this.Count < _period + 1) { _sum += d.v; _atr = _sum / (this.Count); }
else { _atr = _k * (d.v - _lastatr) + _lastatr; }
_lastatr = _atr;
//reset calculation
public override void Reset() {
_len = 0;
}
var res = (TBar.t, Count < _period - 1 && _NaN ? double.NaN : _atr);
return base.Add(res, 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()
{
_len = 0;
}
}