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.

2026-08-25 13:58:04 +00:00 · 2024-07-28 21:26:44 -07:00
parent ef534393db
commit 3455baaf6c
95 changed files with 8661 additions and 7012 deletions
@@ -13,71 +13,81 @@ DECAY:

 </summary> */

-public class DECAY_Series : TSeries {
-	protected readonly int _period;
-	protected readonly bool _NaN;
-	protected readonly TSeries _data;
-	private readonly bool _exp;
-	private double _pdecay, _ppdecay;
-	private readonly double _dfactor;
+public class DECAY_Series : TSeries
+{
+    protected readonly int _period;
+    protected readonly bool _NaN;
+    protected readonly TSeries _data;
+    private readonly bool _exp;
+    private double _pdecay, _ppdecay;
+    private readonly double _dfactor;

-	//core constructors
-	public DECAY_Series(int period, bool exponential, bool useNaN) {
-		_period = period;
-		_NaN = useNaN;
-		Name = $"DECAY({period})";
-		_exp = exponential;
-		_dfactor = (_exp) ? 1.0 - 1.0 / (double)_period : 1 / (double)_period;
-		_pdecay = _ppdecay = 0;
-	}
-	public DECAY_Series(TSeries source, int period, bool exponential, bool useNaN) : this(period, exponential, useNaN) {
-		_data = source;
-		Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
-		_data.Pub += Sub;
-		Add(_data);
-	}
-	public DECAY_Series() : this(period: 0, exponential: false, useNaN: false) { }
-	public DECAY_Series(int period) : this(period: period, exponential: false, useNaN: false) { }
-	public DECAY_Series(TBars source) : this(source.Close, period: 0, exponential: false, useNaN: false) { }
-	public DECAY_Series(TBars source, int period) : this(source.Close, period: period, exponential:false, useNaN:false) { }
-	public DECAY_Series(TBars source, int period, bool useNaN) : this(source.Close, period: period, exponential: false, useNaN) { }
-	public DECAY_Series(TSeries source) : this(source, period: 0, exponential: false, useNaN:false) { }
-	public DECAY_Series(TSeries source, int period) : this(source: source, period: period, exponential: false, useNaN: false) { }
-	public DECAY_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, exponential: false, useNaN: useNaN) { }
+    //core constructors
+    public DECAY_Series(int period, bool exponential, bool useNaN)
+    {
+        _period = period;
+        _NaN = useNaN;
+        Name = $"DECAY({period})";
+        _exp = exponential;
+        _dfactor = (_exp) ? 1.0 - 1.0 / (double)_period : 1 / (double)_period;
+        _pdecay = _ppdecay = 0;
+    }
+    public DECAY_Series(TSeries source, int period, bool exponential, bool useNaN) : this(period, exponential, useNaN)
+    {
+        _data = source;
+        Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
+        _data.Pub += Sub;
+        Add(_data);
+    }
+    public DECAY_Series() : this(period: 0, exponential: false, useNaN: false) { }
+    public DECAY_Series(int period) : this(period: period, exponential: false, useNaN: false) { }
+    public DECAY_Series(TBars source) : this(source.Close, period: 0, exponential: false, useNaN: false) { }
+    public DECAY_Series(TBars source, int period) : this(source.Close, period: period, exponential: false, useNaN: false) { }
+    public DECAY_Series(TBars source, int period, bool useNaN) : this(source.Close, period: period, exponential: false, useNaN) { }
+    public DECAY_Series(TSeries source) : this(source, period: 0, exponential: false, useNaN: false) { }
+    public DECAY_Series(TSeries source, int period) : this(source: source, period: period, exponential: false, useNaN: false) { }
+    public DECAY_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, exponential: false, useNaN: useNaN) { }

-	//////////////////
-	// core Add() algo
-	public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
-		if (double.IsNaN(TValue.v)) {
-			return base.Add((TValue.t, Double.NaN), update);
-		}
-		if (update) { _pdecay = _ppdecay; }
-		else { _ppdecay = _pdecay; }
+    //////////////////
+    // core Add() algo
+    public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false)
+    {
+        if (double.IsNaN(TValue.v))
+        {
+            return base.Add((TValue.t, Double.NaN), update);
+        }
+        if (update) { _pdecay = _ppdecay; }
+        else { _ppdecay = _pdecay; }

-		if (this.Count == 0) { _pdecay = TValue.v; }
-		double _decay = Math.Max(TValue.v, Math.Max((_exp) ? _pdecay * _dfactor : _pdecay - _dfactor, 0));
-		_pdecay = _decay;
-		var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _decay);
-		return base.Add(res, update);
-	}
+        if (this.Count == 0) { _pdecay = TValue.v; }
+        double _decay = Math.Max(TValue.v, Math.Max((_exp) ? _pdecay * _dfactor : _pdecay - _dfactor, 0));
+        _pdecay = _decay;
+        var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _decay);
+        return base.Add(res, update);
+    }

-	public override (DateTime t, double v) Add(TSeries data) {
-		if (data == null) { return (DateTime.Today, Double.NaN); }
-		foreach (var item in data) { Add(item, false); }
-		return _data.Last;
-	}
-	public (DateTime t, double v) Add(bool update) {
-		return this.Add(TValue: _data.Last, update: update);
-	}
-	public (DateTime t, double v) Add() {
-		return Add(TValue: _data.Last, update: false);
-	}
-	private new void Sub(object source, TSeriesEventArgs e) {
-		Add(TValue: _data.Last, update: e.update);
-	}
+    public override (DateTime t, double v) Add(TSeries data)
+    {
+        if (data == null) { return (DateTime.Today, Double.NaN); }
+        foreach (var item in data) { Add(item, false); }
+        return _data.Last;
+    }
+    public (DateTime t, double v) Add(bool update)
+    {
+        return this.Add(TValue: _data.Last, update: update);
+    }
+    public (DateTime t, double v) Add()
+    {
+        return Add(TValue: _data.Last, update: false);
+    }
+    private new void Sub(object source, TSeriesEventArgs e)
+    {
+        Add(TValue: _data.Last, update: e.update);
+    }

-	//reset calculation
-	public override void Reset() {
-		_pdecay = _ppdecay = 0;
-	}
+    //reset calculation
+    public override void Reset()
+    {
+        _pdecay = _ppdecay = 0;
+    }
 }