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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
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/SDEV_Series.cs
+63 -54
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@@ -18,65 +18,74 @@ Remark:
</summary> */
public class SDEV_Series : TSeries {
private readonly System.Collections.Generic.List<double> _buffer = new();
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TSeries _data;
public class SDEV_Series : TSeries
{
private readonly System.Collections.Generic.List<double> _buffer = new();
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TSeries _data;
//core constructors
public SDEV_Series(int period, bool useNaN) {
_period = period;
_NaN = useNaN;
Name = $"SDEV({period})";
}
public SDEV_Series(TSeries 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);
}
public SDEV_Series() : this(period: 0, useNaN: false) { }
public SDEV_Series(int period) : this(period: period, useNaN: false) { }
public SDEV_Series(TBars source) : this(source.Close, 0, false) { }
public SDEV_Series(TBars source, int period) : this(source.Close, period, false) { }
public SDEV_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
public SDEV_Series(TSeries source) : this(source, 0, false) { }
public SDEV_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
//core constructors
public SDEV_Series(int period, bool useNaN)
{
_period = period;
_NaN = useNaN;
Name = $"SDEV({period})";
}
public SDEV_Series(TSeries 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);
}
public SDEV_Series() : this(period: 0, useNaN: false) { }
public SDEV_Series(int period) : this(period: period, useNaN: false) { }
public SDEV_Series(TBars source) : this(source.Close, 0, false) { }
public SDEV_Series(TBars source, int period) : this(source.Close, period, false) { }
public SDEV_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
public SDEV_Series(TSeries source) : this(source, 0, false) { }
public SDEV_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
BufferTrim(buffer:_buffer, value:TValue.v, period:_period, update: update);
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false)
{
BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);
double _sma = _buffer.Average();
double _sma = _buffer.Average();
double _var = 0;
for (int i = 0; i < _buffer.Count; i++) { _var += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
_var /= this._buffer.Count;
double _sdev = Math.Sqrt(_var);
double _var = 0;
for (int i = 0; i < _buffer.Count; i++) { _var += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
_var /= this._buffer.Count;
double _sdev = Math.Sqrt(_var);
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _sdev);
return base.Add(res, update);
}
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _sdev);
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() {
_buffer.Clear();
}
//reset calculation
public override void Reset()
{
_buffer.Clear();
}
}