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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/SMMA_Series.cs
+76 -64
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@@ -18,76 +18,88 @@ Sources:
</summary> */
public class SMMA_Series : TSeries {
private readonly System.Collections.Generic.List<double> _buffer = new();
public class SMMA_Series : TSeries
{
private readonly System.Collections.Generic.List<double> _buffer = new();
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TSeries _data;
private double _lastsmma, _lastlastsmma;
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TSeries _data;
private double _lastsmma, _lastlastsmma;
//core constructors
public SMMA_Series(int period, bool useNaN) {
_period = period;
_NaN = useNaN;
Name = $"SMMA({period})";
}
public SMMA_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 SMMA_Series() : this(period: 0, useNaN: false) { }
public SMMA_Series(int period) : this(period: period, useNaN: false) { }
public SMMA_Series(TBars source) : this(source.Close, 0, false) { }
public SMMA_Series(TBars source, int period) : this(source.Close, period, false) { }
public SMMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
public SMMA_Series(TSeries source) : this(source, 0, false) { }
public SMMA_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
//core constructors
public SMMA_Series(int period, bool useNaN)
{
_period = period;
_NaN = useNaN;
Name = $"SMMA({period})";
}
public SMMA_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 SMMA_Series() : this(period: 0, useNaN: false) { }
public SMMA_Series(int period) : this(period: period, useNaN: false) { }
public SMMA_Series(TBars source) : this(source.Close, 0, false) { }
public SMMA_Series(TBars source, int period) : this(source.Close, period, false) { }
public SMMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
public SMMA_Series(TSeries source) : this(source, 0, false) { }
public SMMA_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) {
if (double.IsNaN(TValue.v)) {
return base.Add((TValue.t, double.NaN),update);
}
//////////////////
// 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);
}
double _smma = 0;
if (update) { this._lastsmma = this._lastlastsmma; }
double _smma = 0;
if (update) { this._lastsmma = this._lastlastsmma; }
if (this.Count < this._period) {
BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);
_smma = _buffer.Average();
}
else {
_smma = ((_lastsmma * (_period - 1)) + TValue.v) / _period;
}
if (this.Count < this._period)
{
BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);
_smma = _buffer.Average();
}
else
{
_smma = ((_lastsmma * (_period - 1)) + TValue.v) / _period;
}
this._lastlastsmma = this._lastsmma;
this._lastsmma = _smma;
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _smma);
return base.Add(res, update);
}
this._lastlastsmma = this._lastsmma;
this._lastsmma = _smma;
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _smma);
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();
this._lastsmma = this._lastlastsmma = 0;
}
//reset calculation
public override void Reset()
{
_buffer.Clear();
this._lastsmma = this._lastlastsmma = 0;
}
}